Stata FAQ How can I perform the likelihood ratio, Wald, and Lagrange multiplier (score) test in Stata?
The likelihood ratio (lr) test, Wald test, and Lagrange multiplier test (sometimes called a score test) are commonly used to evaluate the difference between nested models. One model is considered nested in another if the first model can be generated by imposing restrictions on the parameters of the second. Most often, the restriction is that the parameter is equal to zero. In a regression model restricting a parameters to zero is accomplished by removing the predictor variables from the model. For example, in the models below, the model with the predictor variables female, and read, is nested within the model with the predictor variables female, read, math, and science. The lr, Wald, and Lagrange multiplier tests ask the same basic question, which is, does constraining these parameters to zero (i.e., leaving out these predictor variables) significantly reduce the fit of the model? To perform a likelihood ratio test, one must estimate both of the models one wishes to compare. The advant
